Supplies of services where the “place of supply” is not the UK are technically considered “outside the scope of UK VAT”, but you’re still supposed to include the net value in box 6 on your VAT return. @Glenn can confirm for definite but I believe that ticking the “out of scope” box in QuickFile will exclude the invoice from box 6, therefore the correct course of action in this case would be just to treat it as zero rated by selecting “no VAT”.
Basically what you’re doing with this statement is reminding the customer that they’re responsible for accounting for any taxes under the rules applicable in their country, and if they’re in the EU then that directive is still the rule that applies to them (even though it no longer applies to us in the UK) so it doesn’t seem unreasonable to me. Your responsibility as the seller under UK law is just to satisfy yourself that you’re definitely dealing with a business customer rather than a consumer, to justify zero-rating the invoice based on the place of supply rules.